Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0172
Annualized Std Dev 0.0689
Annualized Sharpe (Rf=0%) 0.2491

Row

Daily Return Statistics

Close
Observations 3471.0000
NAs 1.0000
Minimum -0.0386
Quartile 1 -0.0021
Median 0.0002
Arithmetic Mean 0.0001
Geometric Mean 0.0001
Quartile 3 0.0023
Maximum 0.0429
SE Mean 0.0001
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0002
Variance 0.0000
Stdev 0.0043
Skewness -0.1932
Kurtosis 11.8711

Downside Risk

Close
Semi Deviation 0.0031
Gain Deviation 0.0030
Loss Deviation 0.0033
Downside Deviation (MAR=210%) 0.0093
Downside Deviation (Rf=0%) 0.0031
Downside Deviation (0%) 0.0031
Maximum Drawdown 0.1872
Historical VaR (95%) -0.0065
Historical ES (95%) -0.0100
Modified VaR (95%) -0.0063
Modified ES (95%) -0.0087
From Trough To Depth Length To Trough Recovery
2008-03-13 2008-11-24 2010-09-28 -0.1872 642 179 463
2012-12-07 2018-11-02 2020-07-31 -0.1353 1925 1488 437
2010-10-26 2011-02-10 2011-07-13 -0.0640 180 75 105
2011-08-11 2011-10-14 2012-01-26 -0.0370 116 46 70
2007-11-27 2007-12-17 2008-01-17 -0.0370 36 15 21

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA -0.4 0.1 0.4 1.1 -0.2 0.8 0.1 0.7 2.7
2008 -0.3 1 -1.9 0 0.4 -0.6 -0.7 -0.4 0 -0.8 1.6 -0.5 -2.3
2009 0.3 -0.3 0.4 -0.4 -1.1 -0.1 0.3 -0.7 0.3 0.6 -0.4 -0.3 -1.4
2010 -0.1 0.1 -0.4 0.2 -0.5 -0.7 0.4 -0.5 -0.1 0 -0.8 0.7 -1.7
2011 -0.3 0.1 -0.1 0.2 -0.4 -0.6 -0.1 0.9 -0.1 0.8 -0.3 0 0.1
2012 -0.1 -0.4 -0.4 -0.5 0 -0.4 0 0.5 0.3 -0.2 0.2 -0.4 -1.5
2013 -0.5 0.2 0.2 -0.3 0 0.3 -0.6 -0.3 -0.1 -0.9 -0.2 -0.3 -2.5
2014 0.2 0.1 -0.3 0.2 -0.3 -0.8 0.1 -0.2 0.8 -0.1 -0.3 0.5 -0.1
2015 0.9 0.6 0.9 -0.6 -0.5 -0.4 0.3 -0.1 0.3 0.4 0.3 0.2 2.3
2016 -0.3 -0.2 0.1 0.2 -0.2 0.4 -0.8 -0.4 0 0 -0.2 0.3 -1.1
2017 -0.2 -0.7 0.3 -0.7 -0.1 -0.2 0 -0.2 -0.3 -0.2 0 0.2 -2
2018 -0.5 0.3 0.3 -0.7 -0.3 0 -0.7 -0.1 -0.4 -0.2 0 0.1 -2.1
2019 -0.3 -0.3 -0.6 -0.6 0.7 -0.7 0.2 -0.4 0 0.2 -0.3 0.1 -2
2020 0.6 0.2 0.1 -0.2 0.1 0 0.2 -0.4 -0.3 -0.3 -0.4 0.4 0
2021 -0.2 -0.2 0.2 NA NA NA NA NA NA NA NA NA -0.1

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart